A disclosed system, method and computer readable storage medium includes mechanism for controlling cascade price movements in an electronic trading system. Price limits control the prices at which traders can place orders. An upper price limit prevents traders from placing orders above the upper limit and a lower price limit prevents traders from placing orders below the lower limit. The gap between the upper limit and the indicative marked price as well as the gap between lower limit and the indicative market price is controlled so as to cause a breaking effect on very rapidly changing market price.
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6. The method of claim 5, wherein the one or more new configuration parameters are further based on a plurality of determined market reactions and a plurality of historical market data.
7. The method of claim 5, wherein generating the one or more new configuration parameters comprises selecting the one or more new configuration parameters to reduce acceptance of orders following execution of a trade.
8. The method of claim 5, wherein generating the one or more new configuration parameters comprises selecting the one or more new configuration parameters to reduce an impact of a market reaction following execution of a trade.
10. The method of claim 1, wherein initializing the initial interval comprises determining the first price limit and the second price limit based on the one or more configuration parameters.
11. The method of claim 1, wherein the first price limit comprises an upper price limit and the second price limit comprises a lower price limit.
12. The method of claim 1, wherein the first price limit comprises a lower price limit and the second price limit comprises an upper price limit.
13. The method of claim 1, wherein the one or more configuration parameters comprise a time interval.
14. The method of claim 1, wherein the one or more configuration parameters comprise an order price.
15. The method of claim 1, wherein the one or more configuration parameters comprise a price limit hit count.
16. The method of claim 1, wherein the one or more configuration parameters comprise a tick reduction rate.
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August 29, 2022
February 28, 2023
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